Could you explain to me what it means to have better Sharpe Ratio in Equal Weight portfolio than tangency portfolio (max sharpe). Thank you.
The Max Sharpe Ratio portfolio is determined ex-ante, using past data available at time t (say the previous 10 years returns and covariances). It is optimal given that data.
At time t two people invest: A invests in the Max Sharpe Ratio portfolio and B invests in the Equal Weighted Portfolio. At time $T > t$ we compare the results: it is possible that (ex-post) the Sharpe ratio of B turned out bigger than the Sharpe ratio of A.